-
Notifications
You must be signed in to change notification settings - Fork 26
Expand file tree
/
Copy pathDataResampleClass.m
More file actions
872 lines (712 loc) · 38.4 KB
/
DataResampleClass.m
File metadata and controls
872 lines (712 loc) · 38.4 KB
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709
710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827
828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
classdef DataResampleClass < handle
%% DataResampleClass
% by LiYang_faruto
% Email:farutoliyang@foxmail.com
% 2015/6/1
%% properties
properties
% % 降采样还是升采样选择参数
% 'DownSampling' 'UpSampling'
DownUpSampling = 'DownSampling';
% % 采用频率设置参数
% 'Nmin' 'Nhour' 'Nday' 'Nsecond' 'Nmillisecond'
% 'Nweek' 'Nmonth' 'Nquarter' 'Nyear' ...
Fre = '1min';
% % 数据市场代码设置参数(不同市场交易时间不同)
% 'SHSZ' 'CFFEX' ...
Market = 'SHSZ';
% % 用于产生采样值的方法
% 'OHLC2OHLC' 'OHLCVA2OHLCVA'
% 'OHLCVA' 'OHLC'
% 'first' 'last' 'median' 'max' 'min' 'sum' 'prod'
HowMethod = 'OHLCVA';
% % 数据缺失时的插值方法以及升采样时的插值方法选择
% 'ffill' 'bfill' 'nan'
FillMethod = 'ffill';
% % 在降采样中,各时间段的哪一端是闭合(即包含)的
% 'right' 'left'
Closed = 'right';
% % 在降采样中,如何设置采样后的标签,
% 比如 9:30到9:35之间的这5分钟会被标记为9:30('left')或9:35('right')
% 'right' 'left'
Label = 'right';
% % 输入数据的时间轴的数据格式
% Datenum: MATALB的datenum格式,
% DateNumber = datenum(2015,5,13,9,30,33)
% datestr(DateNumber) = '13-May-2015 09:30:33'
% PureDouble: 比如201505130930.33
% 'Datenum' 'PureDouble'
DateFormatInput = 'PureDouble';
% % 输入数据的时间轴的数据格式选择
% 'Datenum' 'PureDouble'
DateFormatOutput = 'PureDouble';
% 1 0 Resample后是否作图
isPlot = 0;
% For LabelSet函数
LabelSetStyle = 0;
XTRot = 55;
end
%% properties(Access = protected)
properties(SetAccess = private, GetAccess = public)
DownUpSampling_ParaList = {'DownSampling';'UpSampling';};
Fre_ParaList = {'Nmin(s)';'Nhour(s)';'Nday(s)';'Nweek(s)';...
'Nmonth(s);Nquarter(s);Nyear(s);[括号中字符输入不输入都行]'};
Market_ParaList = {'SHSZ'};
HowMethod_ParaList = {'OHLC2OHLC';'OHLCVA2OHLCVA'; ...
'OHLCVA';'OHLC'; ...
'first';'last';'median';'max';'min';'sum';'prod'};
FillMethod_ParaList = {'ffill';'bfill';'nan'};
Closed_ParaList = {'right';'left'};
Label_ParaList = {'right';'left'};
DateFormat_ParaList = {'Datenum';'PureDouble'};
end
%% properties(Access = protected)
properties(Access = protected)
end
%% properties(Access = private)
properties(Access = private)
end
%% methods
methods
%% DataResampleClass()
function obj = DataResampleClass( varargin )
end
%% Resample()
function OutputData = Resample(obj,InputData, varargin )
OutputData = [];
% %===输入参数检查 开始===
Flag = ParaCheck(obj);
if 0 == Flag
str = ['请检查输入参数是否正确!'];
disp(str)
return;
end
% %===输入参数检查 完毕===
% % 输入数据检查
[rL, cL] = size(InputData);
if strcmpi(obj.HowMethod,'OHLCVA') && cL<4
str = ['请检查输入数据!当HowMethod为',obj.HowMethod,...
'时,输入数据需要至少有4列(分别为日期时间、价格、成交量、成交额)'];
disp(str);
return;
end
if strcmpi(obj.HowMethod,'OHLCVA2OHLCVA') && cL<7
str = ['请检查输入数据!当HowMethod为',obj.HowMethod,...
'时,输入数据需要至少有7列(分别为日期时间、开、高、低、收、成交量、成交额)'];
disp(str);
return;
end
if strcmpi(obj.HowMethod,'OHLC') && cL<2
str = ['请检查输入数据!当HowMethod为',obj.HowMethod,...
'时,输入数据需要至少有2列(分别为日期时间、价格)'];
disp(str);
return;
end
if strcmpi(obj.HowMethod,'OHLC2OHLC') && cL<5
str = ['请检查输入数据!当HowMethod为',obj.HowMethod,...
'时,输入数据需要至少有5列(分别为日期时间、开、高、低、收)'];
disp(str);
return;
end
if ( strcmpi(obj.HowMethod,'first') || strcmpi(obj.HowMethod,'last') || ...
strcmpi(obj.HowMethod,'median') || strcmpi(obj.HowMethod,'max') || ...
strcmpi(obj.HowMethod,'min') || strcmpi(obj.HowMethod,'sum') || ...
strcmpi(obj.HowMethod,'prod') ) && cL<2
str = ['请检查输入数据!当HowMethod为',obj.HowMethod,...
'时,输入数据需要至少有2列(分别为日期时间、价格)'];
disp(str);
return;
end
% % 日期提取
fYear = @(t_d)( floor(t_d/1e8) );
fMonth = @(t_d)( floor(mod(t_d,1e8)/1e6) );
fDay = @(t_d)( floor(mod(t_d,1e6)/1e4) );
fHour = @(t_d)( floor(mod(t_d,1e4)/1e2) );
fMinute = @(t_d)( floor(mod(t_d,1e2)/1e0) );
fSecond = @(t_d)( floor(t_d*1e2-fix(t_d)*1e2) );
fYMD = @(t_d)( floor(t_d/1e4) );
fYM = @(t_d)( floor(t_d/1e6) );
% ==待完善==
if strcmpi(obj.DateFormatInput,'Datenum')
Temp = str2num( datestr(InputData(:,1),'YYYYMMDD') )*1e4+str2num( datestr(InputData(:,1),'HHMM.SS') );
InputData(:,1) = Temp;
obj.DateFormatInput = 'PureDouble';
end
if strcmpi(obj.DateFormatInput,'PureDouble')
DateTime = InputData(:,1);
dYear = fYear(DateTime);
dMonth = fMonth(DateTime);
dDay = fDay(DateTime);
dHour = fHour(DateTime);
dMinute = fMinute(DateTime);
dSecond = fSecond(DateTime);
dYMD = fYMD(DateTime);
dYM = fYM(DateTime);
DaysUnique = unique(dYMD);
DaysUniqueLen = length(DaysUnique);
DateTime_DT = datetime(dYear,dMonth,dDay,dHour,dMinute,dSecond);
end
% % 频率提取
% 1min 5min
% 1mins 5mins
% 1hour 5hour
% 1hours 5hours
% 1day 5day
% 1days 5days
FreSelectFlag = 1;
InputStrList = {'min';'mins';'hour';'hours';...
'minute';'minutes';...
'second';'seconds';...
'milliseconds';'milliseconds';};
TL = length(InputStrList);
interval = [];
for i = 1:TL
InputStr = InputStrList{i};
if length(obj.Fre)>=length(InputStr) && ...
strcmpi(obj.Fre((end-length(InputStr)+1):end),InputStr)
FreNum = str2double(obj.Fre(1:end-length(InputStr)));
FreType = InputStr;
if FreType(end) ~= 's'
FreType = [FreType,'s'];
end
if strcmpi(FreType,'mins')
FreType = 'minutes';
end
Estr = ['interval = ',FreType,'(FreNum);'];
eval(Estr);
FreSelectFlag = 1;
break;
end
end
calendarInputStrList = {'day';'days';...
'week';'weeks';...
'month';'months';...
'quarter';'quarters';...
'year';'years';};
TL = length(calendarInputStrList);
if isempty(interval)
for i = 1:TL
InputStr = calendarInputStrList{i};
if length(obj.Fre)>=length(InputStr) && strcmpi(obj.Fre((end-length(InputStr)+1):end),InputStr)
FreNum = str2double(obj.Fre(1:end-length(InputStr)));
FreType = InputStr;
if FreType(end) ~= 's'
FreType = ['cal',FreType,'s'];
end
Estr = ['interval = ',FreType,'(FreNum);'];
eval(Estr);
FreSelectFlag = 2;
break;
end
end
end
if isempty(interval)
str = ['请检查输入的Fre参数是否正确!'];
disp(str)
return;
end
if strcmpi(obj.Market,'SHSZ') && strcmpi(obj.Label,'right')
if 1 == FreSelectFlag
DTLabel = [];
for i = 1:DaysUniqueLen
Idx = find( dYMD == DaysUnique(i) );
dYear_OneDay = dYear(Idx);
dMonth_OneDay = dMonth(Idx);
dDay_OneDay = dDay(Idx);
ts_AM = datetime(dYear_OneDay(1),dMonth_OneDay(1),dDay_OneDay(1),9,30,0)+interval*(interval~=minutes(1));
te_AM = datetime(dYear_OneDay(1),dMonth_OneDay(1),dDay_OneDay(1),11,30,0);
T_AM = (ts_AM:interval:te_AM)';
ts_PM = datetime(dYear_OneDay(1),dMonth_OneDay(1),dDay_OneDay(1),13,0,0)+interval*(interval~=minutes(1));
te_PM = datetime(dYear_OneDay(1),dMonth_OneDay(1),dDay_OneDay(1),15,0,0);
T_PM = (ts_PM:interval:te_PM)';
T = [T_AM; T_PM];
DTLabel = [DTLabel;T];
end
end
% %
if 2 == FreSelectFlag
if DaysUniqueLen>1
if strcmpi(FreType,'caldays')
if 1 == FreNum
ts = datetime(dYear(1),dMonth(1),dDay(1),15,0,0);
else
ts = datetime(dYear(1),dMonth(1),dDay(1),15,0,0)+interval;
end
te = datetime(dYear(end),dMonth(end),dDay(end),15,0,0);
T = (ts:interval:te)';
end
if strcmpi(FreType,'calyears')
dYearUnique = unique(dYear);
Idx = find( dYear == dYearUnique(1),1,'last' );
ts = datetime(dYear(1),dMonth(Idx),dDay(Idx),15,0,0)+calyears(FreNum-1);
te = datetime(dYear(end),dMonth(end),dDay(end),15,0,0);
T = (ts:interval:te)';
if T(end) ~= te;
T = [T;te];
end
end
if strcmpi(FreType,'calquarters')
tQ = [3,6,9,12];
tM = dMonth(1);
Idx = find( tM<=tQ,1,'first' );
Mtemp = tQ(Idx);
Idx = find( dMonth<=Mtemp,1,'last' );
ts = datetime(dYear(1),dMonth(Idx),dDay(Idx),15,0,0)+calquarters(FreNum-1);
te = datetime(dYear(end),dMonth(end),dDay(end),15,0,0);
T = (ts:interval:te)';
if T(end) ~= te;
T = [T;te];
end
end
if strcmpi(FreType,'calmonths')
YMUnique = unique(dYM);
YMUniqueLen = length(YMUnique);
Idx = [];
for i = (1+FreNum-1):FreNum:YMUniqueLen
tInd = find( dYM==YMUnique(i),1,'last' );
Idx = [Idx;tInd];
end
if Idx(end) ~= length(dYM)
Idx = [Idx; YMUniqueLen];
end
T = DateTime(Idx,:);
T = datetime(fYear(T),fMonth(T),fDay(T),fHour(T),fMinute(T),fSecond(T));
end
if strcmpi(FreType,'calweeks')
tL = length(DateTime_DT);
for i = 1:tL
D = DateTime_DT(i);
[DayNumber,DayName] = weekday(D);
% Find Friday
if 6 == DayNumber
Idx = i;
break;
end
end
ts = datetime(dYear(1),dMonth(Idx),dDay(Idx),15,0,0)+calweeks(FreNum-1);
te = datetime(dYear(end),dMonth(end),dDay(end),15,0,0);
T = (ts:interval:te)';
if T(end) ~= te;
T = [T;te];
end
end
else
ts = datetime(dYear(1),dMonth(1),dDay(1),15,0,0);
te = datetime(dYear(end),dMonth(end),dDay(end),15,0,0);
T = (ts:interval:te)';
end
DTLabel = T;
end
end
% ==待完善==
if strcmpi(obj.Market,'SHSZ') && strcmpi(obj.Label,'left')
end
% %
YYYYMMDDHHMM = @(T)(1e8*year(T) + 1e6*month(T) + 1e4*day(T)...
+1e2*hour(T) + minute(T));
if isnumeric(DTLabel)
Dlabel = DTLabel;
else
Dlabel = YYYYMMDDHHMM(DTLabel);
end
% % 输出初始化
rLTemp = size(DTLabel,1);
if strcmpi(obj.HowMethod,'OHLCVA') || strcmpi(obj.HowMethod,'OHLCVA2OHLCVA')
OutputData = zeros(rLTemp, 7);
end
if strcmpi(obj.HowMethod,'OHLC') || strcmpi(obj.HowMethod,'OHLC2OHLC')
OutputData = zeros(rLTemp, 5);
end
if strcmpi(obj.HowMethod,'first') || strcmpi(obj.HowMethod,'last') || ...
strcmpi(obj.HowMethod,'median') || strcmpi(obj.HowMethod,'max') || ...
strcmpi(obj.HowMethod,'min') || strcmpi(obj.HowMethod,'sum') || ...
strcmpi(obj.HowMethod,'prod')
OutputData = zeros(rLTemp, 2);
end
if strcmpi(obj.DateFormatOutput,'PureDouble')
OutputData(:,1) = Dlabel;
end
% %
if strcmpi(obj.DateFormatOutput,'Datenum')
Dnum = datenum(DTLabel.Year,DTLabel.Month,DTLabel.Day,...
DTLabel.Hour,DTLabel.Minute,DTLabel.Second);
OutputData(:,1) = Dnum;
end
% % DownSampling
if strcmpi(obj.DownUpSampling,'DownSampling')
% DateTime_DT
% DTLabel
Len = length(DTLabel);
if strcmpi(obj.HowMethod,'OHLCVA')
for i = 1:Len
if i == 1
CheckTemp = DateTime_DT<=DTLabel(i);
Idx = find(CheckTemp==1,1,'last');
if ~isempty(Idx)
Open = InputData(1,2);
High = max(InputData(1:Idx,2));
Low = min(InputData(1:Idx,2));
Close = InputData(Idx,2);
Vol = sum(InputData(1:Idx,3));
Amt = sum(InputData(1:Idx,4));
else
Open = NaN;
High = NaN;
Low = NaN;
Close = NaN;
Vol = NaN;
Amt = NaN;
end
OutputData(i,2:end) = [Open High Low Close Vol Amt];
else
if strcmpi(obj.Closed,'right')
% 过了15点之后15:00:16秒之类的时间有时候也有有数据
% 进行一个时间的微小校正
TimeAdjEps = seconds(45);
CheckTemp = (DateTime_DT>DTLabel(i-1)+TimeAdjEps).*(DateTime_DT<=DTLabel(i)+TimeAdjEps);
IdxS = find(CheckTemp==1,1,'first');
IdxE = find(CheckTemp==1,1,'last');
if ~isempty(IdxS) && ~isempty(IdxE)
Open = InputData(IdxS,2);
High = max(InputData(IdxS:IdxE,2));
Low = min(InputData(IdxS:IdxE,2));
Close = InputData(IdxE,2);
Vol = sum(InputData(IdxS:IdxE,3));
Amt = sum(InputData(IdxS:IdxE,4));
else
if strcmpi(obj.FillMethod,'nan')
Open = NaN;
High = NaN;
Low = NaN;
Close = NaN;
Vol = NaN;
Amt = NaN;
end
if strcmpi(obj.FillMethod,'ffill')
Open = OutputData(i-1,2);
High = OutputData(i-1,3);
Low = OutputData(i-1,4);
Close = OutputData(i-1,5);
Vol = OutputData(i-1,6);
Amt = OutputData(i-1,7);
end
% ==待完善==
if strcmpi(obj.FillMethod,'bfill')
end
end
OutputData(i,2:end) = [Open High Low Close Vol Amt];
end
% ==待完善==
if strcmpi(obj.Closed,'left')
end
end
end
if obj.isPlot ~= 0
scrsz = get(0,'ScreenSize');
figure('Position',[scrsz(3)*1/4 scrsz(4)*1/6 scrsz(3)*4/5 scrsz(4)]*3/4);
subplot(211);
plot(InputData(:,2));
xlim([0 length(InputData)+1]);
LabelSet(gca, InputData(:,1), [], [],obj.LabelSetStyle,obj.XTRot);
str = ['原始数据'];
title(str,'FontWeight','Bold');
subplot(212);
OHLC = OutputData(:,2:5);
KplotNew(OHLC);
xlim([0 length(OutputData)+1]);
LabelSet(gca, OutputData(:,1), [], [],obj.LabelSetStyle,obj.XTRot);
str = ['重采样后-',obj.Fre];
title(str,'FontWeight','Bold');
end
end
% ==待完善==
if strcmpi(obj.HowMethod,'OHLC')
for i = 1:Len
if i == 1
CheckTemp = DateTime_DT<=DTLabel(i);
Idx = find(CheckTemp==1,1,'last');
if ~isempty(Idx)
Open = InputData(1,2);
High = max(InputData(1:Idx,2));
Low = min(InputData(1:Idx,2));
Close = InputData(Idx,2);
else
Open = NaN;
High = NaN;
Low = NaN;
Close = NaN;
end
OutputData(i,2:end) = [Open High Low Close];
else
if strcmpi(obj.Closed,'right')
CheckTemp = (DateTime_DT>DTLabel(i-1)).*(DateTime_DT<=DTLabel(i));
IdxS = find(CheckTemp==1,1,'first');
IdxE = find(CheckTemp==1,1,'last');
if ~isempty(IdxS) && ~isempty(IdxE)
Open = InputData(IdxS,2);
High = max(InputData(IdxS:IdxE,2));
Low = min(InputData(IdxS:IdxE,2));
Close = InputData(IdxE,2);
else
if strcmpi(obj.FillMethod,'nan')
Open = NaN;
High = NaN;
Low = NaN;
Close = NaN;
end
if strcmpi(obj.FillMethod,'ffill')
Open = OutputData(i-1,2);
High = OutputData(i-1,3);
Low = OutputData(i-1,4);
Close = OutputData(i-1,5);
end
% ==待完善==
if strcmpi(obj.FillMethod,'bfill')
end
end
OutputData(i,2:end) = [Open High Low Close];
end
% ==待完善==
if strcmpi(obj.Closed,'left')
end
end
end
if obj.isPlot ~= 0
scrsz = get(0,'ScreenSize');
figure('Position',[scrsz(3)*1/4 scrsz(4)*1/6 scrsz(3)*4/5 scrsz(4)]*3/4);
subplot(211);
plot(InputData(:,2));
xlim([0 length(InputData)+1]);
LabelSet(gca, InputData(:,1), [], [],obj.LabelSetStyle,obj.XTRot);
str = ['原始数据'];
title(str,'FontWeight','Bold');
subplot(212);
OHLC = OutputData(:,2:5);
KplotNew(OHLC);
xlim([0 length(OutputData)+1]);
LabelSet(gca, OutputData(:,1), [], [],obj.LabelSetStyle,obj.XTRot);
str = ['重采样后-',obj.Fre];
title(str,'FontWeight','Bold');
end
end
% ==待完善==
if strcmpi(obj.HowMethod,'OHLCVA2OHLCVA')
for i = 1:Len
if i == 1
CheckTemp = DateTime_DT<=DTLabel(i);
Idx = find(CheckTemp==1,1,'last');
if ~isempty(Idx)
Open = InputData(1,2);
High = max(InputData(1:Idx,3));
Low = min(InputData(1:Idx,4));
Close = InputData(Idx,5);
Vol = sum(InputData(1:Idx,6));
Amt = sum(InputData(1:Idx,7));
else
Open = NaN;
High = NaN;
Low = NaN;
Close = NaN;
Vol = NaN;
Amt = NaN;
end
OutputData(i,2:end) = [Open High Low Close Vol Amt];
else
if strcmpi(obj.Closed,'right')
CheckTemp = (DateTime_DT>DTLabel(i-1)).*(DateTime_DT<=DTLabel(i));
IdxS = find(CheckTemp==1,1,'first');
IdxE = find(CheckTemp==1,1,'last');
if ~isempty(IdxS) && ~isempty(IdxE)
Open = InputData(IdxS,2);
High = max(InputData(IdxS:IdxE,3));
Low = min(InputData(IdxS:IdxE,4));
Close = InputData(IdxE,5);
Vol = sum(InputData(IdxS:IdxE,6));
Amt = sum(InputData(IdxS:IdxE,7));
else
if strcmpi(obj.FillMethod,'nan')
Open = NaN;
High = NaN;
Low = NaN;
Close = NaN;
Vol = NaN;
Amt = NaN;
end
if strcmpi(obj.FillMethod,'ffill')
Open = OutputData(i-1,2);
High = OutputData(i-1,3);
Low = OutputData(i-1,4);
Close = OutputData(i-1,5);
Vol = OutputData(i-1,6);
Amt = OutputData(i-1,7);
end
% ==待完善==
if strcmpi(obj.FillMethod,'bfill')
end
end
OutputData(i,2:end) = [Open High Low Close Vol Amt];
end
% ==待完善==
if strcmpi(obj.Closed,'left')
end
end
end
if obj.isPlot ~= 0
scrsz = get(0,'ScreenSize');
figure('Position',[scrsz(3)*1/4 scrsz(4)*1/6 scrsz(3)*4/5 scrsz(4)]*3/4);
subplot(211);
OHLC = InputData(:,2:5);
KplotNew(OHLC);
xlim([0 length(InputData)+1]);
LabelSet(gca, InputData(:,1), [], [],obj.LabelSetStyle,obj.XTRot);
str = ['原始数据'];
title(str,'FontWeight','Bold');
subplot(212);
OHLC = OutputData(:,2:5);
KplotNew(OHLC);
xlim([0 length(OutputData)+1]);
LabelSet(gca, OutputData(:,1), [], [],obj.LabelSetStyle,obj.XTRot);
str = ['重采样后-',obj.Fre];
title(str,'FontWeight','Bold');
end
end
% ==待完善==
if strcmpi(obj.HowMethod,'OHLC2OHLC')
for i = 1:Len
if i == 1
CheckTemp = DateTime_DT<=DTLabel(i);
Idx = find(CheckTemp==1,1,'last');
if ~isempty(Idx)
Open = InputData(1,2);
High = max(InputData(1:Idx,3));
Low = min(InputData(1:Idx,4));
Close = InputData(Idx,5);
else
Open = NaN;
High = NaN;
Low = NaN;
Close = NaN;
end
OutputData(i,2:end) = [Open High Low Close];
else
if strcmpi(obj.Closed,'right')
CheckTemp = (DateTime_DT>DTLabel(i-1)).*(DateTime_DT<=DTLabel(i));
IdxS = find(CheckTemp==1,1,'first');
IdxE = find(CheckTemp==1,1,'last');
if ~isempty(IdxS) && ~isempty(IdxE)
Open = InputData(IdxS,2);
High = max(InputData(IdxS:IdxE,3));
Low = min(InputData(IdxS:IdxE,4));
Close = InputData(IdxE,5);
else
if strcmpi(obj.FillMethod,'nan')
Open = NaN;
High = NaN;
Low = NaN;
Close = NaN;
end
if strcmpi(obj.FillMethod,'ffill')
Open = OutputData(i-1,2);
High = OutputData(i-1,3);
Low = OutputData(i-1,4);
Close = OutputData(i-1,5);
end
% ==待完善==
if strcmpi(obj.FillMethod,'bfill')
end
end
OutputData(i,2:end) = [Open High Low Close];
end
% ==待完善==
if strcmpi(obj.Closed,'left')
end
end
end
if obj.isPlot ~= 0
scrsz = get(0,'ScreenSize');
figure('Position',[scrsz(3)*1/4 scrsz(4)*1/6 scrsz(3)*4/5 scrsz(4)]*3/4);
subplot(211);
OHLC = InputData(:,2:5);
KplotNew(OHLC);
xlim([0 length(InputData)+1]);
LabelSet(gca, InputData(:,1), [], [],obj.LabelSetStyle,obj.XTRot);
str = ['原始数据'];
title(str,'FontWeight','Bold');
subplot(212);
OHLC = OutputData(:,2:5);
KplotNew(OHLC);
xlim([0 length(OutputData)+1]);
LabelSet(gca, OutputData(:,1), [], [],obj.LabelSetStyle,obj.XTRot);
str = ['重采样后-',obj.Fre];
title(str,'FontWeight','Bold');
end
end
end
% % UpSampling-待完善!
if strcmpi(obj.DownUpSampling,'UpSampling')
end
end
%% 输入参数检查函数
function Flag = ParaCheck(obj, varargin )
Flag = 1;
% %===输入参数检查 开始===
checkflag = ismember( lower(obj.DownUpSampling),lower(obj.DownUpSampling_ParaList) );
if checkflag ~= 1
str = ['DownUpSampling参数输入错误请检查!可选的参数列表为(大小写都行):'];
disp(str);
ParaList = obj.DownUpSampling_ParaList
Flag = 0;
return;
end
checkflag = ismember( lower(obj.HowMethod),lower(obj.HowMethod_ParaList) );
if checkflag ~= 1
str = ['HowMethod参数输入错误请检查!可选的参数列表为(大小写都行):'];
disp(str);
ParaList = obj.HowMethod_ParaList
Flag = 0;
return;
end
checkflag = ismember( lower(obj.FillMethod),lower(obj.FillMethod_ParaList) );
if checkflag ~= 1
str = ['FillMethod参数输入错误请检查!可选的参数列表为(大小写都行):'];
disp(str);
ParaList = obj.FillMethod_ParaList
Flag = 0;
return;
end
checkflag = ismember( lower(obj.Closed),lower(obj.Closed_ParaList) );
if checkflag ~= 1
str = ['Closed参数输入错误请检查!可选的参数列表为(大小写都行):'];
disp(str);
ParaList = obj.Closed_ParaList
Flag = 0;
return;
end
checkflag = ismember( lower(obj.Label),lower(obj.Label_ParaList) );
if checkflag ~= 1
str = ['Label参数输入错误请检查!可选的参数列表为(大小写都行):'];
disp(str);
ParaList = obj.Label_ParaList
Flag = 0;
return;
end
checkflag = ismember( lower(obj.DateFormatInput),lower(obj.DateFormat_ParaList) );
if checkflag ~= 1
str = ['DateFormatInput参数输入错误请检查!可选的参数列表为(大小写都行):'];
disp(str);
ParaList = obj.DateFormat_ParaList
Flag = 0;
return;
end
checkflag = ismember( lower(obj.DateFormatOutput),lower(obj.DateFormat_ParaList) );
if checkflag ~= 1
str = ['DateFormatOutput参数输入错误请检查!可选的参数列表为(大小写都行):'];
disp(str);
ParaList = obj.DateFormat_ParaList
Flag = 0;
return;
end
% %===输入参数检查 完毕===
end
end
end